Fractional stochastic differential equation with discontinuous diffusion

DOI10.1080/07362994.2017.1358643MaRDI QIDQ4602040zbMATH OpenOpenAlexWikidataFDO

Authors Johanna Garzón, Soledad Torres, Jorge A. Leon

Publication date 25 January 2018

Published in Stochastic Analysis and Applications (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1607.06748

zbMATH Keywords

fractional Brownian motionfractional calculuspathwise differential equationsyoung integral

Mathematics Subject Classification ID

Fractional processes, including fractional Brownian motion (60G22) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

Abstract: In this paper we study a stochastic differential equation driven by a fractional Brownian motion with a discontinuous coefficient. We also give an approximation to the solution of the equation. This is a first step to define a fractional version of the skew Brownian motion.

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